The Dow Jones Credit Suisse Hedge Fund Indexes Performance data for Oct 2011 has been updated. Please visit our site at http://www.hedgeindex.com for further details.
Dow Jones Credit Suisse Core Index Performance
| Index / Sub Strategies | Value** | Oct 11 | YTD | 1 Year | Annl* | Std Dev* | Sharpe* | |||
| Dow Jones Credit Suisse Core Hedge Fund Index | 93.87 | 1.85% | -6.13% | -4.28% | 6.65% | 6.80% | 0.70 | |||
| Convertible Arbitrage | 93.35 | -0.52% | -6.65% | -6.05% | 3.32% | 11.54% | 0.13 | |||
| Emerging Markets | 98.85 | 1.73% | -1.15% | 1.06% | 9.90% | 10.87% | 0.74 | |||
| Event Driven | 88.99 | 2.66% | -11.01% | -8.62% | 4.84% | 8.37% | 0.36 | |||
| Fixed Income Arbitrage | 100.01 | 0.18% | 0.01% | -1.89% | 7.78% | 8.78% | 0.67 | |||
| Global Macro | 90.86 | 1.84% | -9.14% | -6.78% | 6.00% | 7.59% | 0.55 | |||
| Long/Short Equity | 95.63 | 5.27% | -4.37% | -1.69% | 6.82% | 8.50% | 0.58 | |||
| Managed Futures | 94.82 | -5.07% | -5.18% | -4.39% | 8.45% | 12.42% | 0.53 | |||
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*Statistics include hypothetical performance of the Dow Jones Credit Suisse Core Hedge Fund Index from January 1, 2006 to December 31, 2010 and actual performance from January 1, 2011. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month. Please refer to the disclaimer for important information regarding simulated performance.
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Dow Jones Credit Suisse Hedge Fund Index Performance
| Index / Sub Strategies | Value** | Oct 11 | YTD | 1 Year | Annl* | Std Dev* | Sharpe* | |||
| Dow Jones Credit Suisse Hedge Fund Index | 454.79 | 1.73% | -1.53% | 1.14% | 8.86% | 7.65% | 0.74 | |||
| Convertible Arbitrage | 366.30 | 1.18% | 1.10% | 2.31% | 7.55% | 7.01% | 0.62 | |||
| Dedicated Short Bias | 52.91 | -9.59% | 2.34% | -5.94% | -3.51% | 17.06% | -0.39 | |||
| Emerging Markets | 369.76 | 3.70% | -3.43% | -2.35% | 7.61% | 15.05% | 0.29 | |||
| Equity Market Neutral | 244.03 | 2.76% | 4.90% | 4.05% | 5.13% | 10.46% | 0.18 | |||
| Event Driven | 496.70 | 2.56% | -7.38% | -3.60% | 9.40% | 6.38% | 0.97 | |||
| Distressed | 584.77 | 1.99% | -3.02% | -0.05% | 10.41% | 6.69% | 1.07 | |||
| Multi-Strategy | 458.13 | 2.90% | -9.97% | -5.63% | 8.91% | 6.91% | 0.82 | |||
| Risk Arbitrage | 325.50 | 1.91% | 1.47% | 1.15% | 6.84% | 4.19% | 0.86 | |||
| Fixed Income Arbitrage | 248.11 | 0.14% | 3.78% | 5.19% | 5.23% | 5.81% | 0.35 | |||
| Global Macro | 781.92 | 0.18% | 6.01% | 8.28% | 12.22% | 9.85% | 0.91 | |||
| Long/Short Equity | 498.15 | 4.45% | -5.08% | -1.38% | 9.42% | 10.00% | 0.62 | |||
| Managed Futures | 282.73 | -5.06% | -5.11% | -4.07% | 6.00% | 11.82% | 0.24 | |||
| Multi-Strategy | 385.41 | 2.05% | 2.61% | 4.66% | 7.97% | 5.44% | 0.88 | |||
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*Average Annual Index data begins January 1994. Monthly Standard Deviation annualized. Sharpe ratio calculated using the rolling 90 day T-bill rate.
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Dow Jones Credit Suisse Blue Chip Hedge Fund Index Performance
| Index / Sub Strategies | Value** | Oct 11 | YTD | 1 Year | Annl* | Std Dev* | Sharpe* | |||
| Dow Jones Credit Suisse Investable Index | 132.01 | 1.14% | -1.91% | 0.72% | 3.42% | 7.32% | 0.20 | |||
| Convertible Arbitrage | 128.96 | 1.00% | 11.75% | 14.29% | 3.13% | 15.87% | 0.08 | |||
| Dedicated Short Bias | 62.01 | -11.26% | 4.67% | -5.00% | -5.63% | 18.02% | -0.42 | |||
| Emerging Markets | 212.23 | 6.33% | -1.80% | -1.75% | 9.55% | 13.44% | 0.57 | |||
| Equity Market Neutral | 78.47 | 4.54% | 10.07% | 7.86% | -2.90% | 19.22% | -0.25 | |||
| Event Driven | 155.31 | 3.17% | -11.44% | -5.91% | 5.48% | 9.28% | 0.38 | |||
| Fixed Income Arbitrage | 84.41 | 0.04% | -2.00% | -1.19% | -2.03% | 12.86% | -0.31 | |||
| Global Macro | 171.26 | -0.44% | 2.42% | 5.60% | 6.74% | 9.90% | 0.49 | |||
| Long/Short Equity | 113.41 | 5.17% | -3.16% | -0.60% | 1.54% | 9.56% | -0.04 | |||
| Managed Futures | 148.45 | -5.64% | -2.61% | -0.58% | 4.91% | 11.17% | 0.27 | |||
| Multi-Strategy | 135.62 | 0.50% | 2.77% | 4.36% | 3.76% | 9.97% | 0.18 | |||
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*Average Annual Index data begins October 2003. Monthly Standard Deviation annualized. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month.
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**As of September 30, 2008 the Value for the Blue Chip Index will be reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules.The SAV takes into account the estimated value of underlying funds which have suspended redemptions or have temporarily stopped reporting performance to the Index. Consistent with Value reporting procedures, the SAV will be published as an estimated value and a confirmed value will be published according to the usual timetable for publication of the Index value. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
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Dow Jones Credit Suisse AllHedge Index Performance
| Index / Sub Strategies | Value** | Oct 11 | YTD | 1 Year | Annl* | Std Dev* | Sharpe* | |||
| Dow Jones Credit Suisse AllHedge Index | 120.16 | 1.93% | -4.66% | -2.54% | 2.63% | 7.61% | 0.07 | |||
| Convertible Arbitrage | 107.99 | 1.00% | -0.64% | 0.31% | 1.09% | 12.81% | -0.08 | |||
| Dedicated Short Bias | 66.87 | -11.26% | 4.35% | -5.23% | -5.52% | 16.61% | -0.46 | |||
| Emerging Markets | 143.41 | 6.80% | -4.37% | -4.02% | 5.22% | 14.64% | 0.22 | |||
| Equity Market Neutral | 84.07 | 4.30% | 5.60% | 4.56% | -2.42% | 10.50% | -0.43 | |||
| Event Driven | 138.70 | 2.96% | -12.45% | -7.64% | 4.73% | 8.37% | 0.32 | |||
| Fixed Income Arbitrage | 75.77 | 0.06% | -2.04% | -1.11% | -3.84% | 10.84% | -0.55 | |||
| Global Macro | 113.06 | -0.19% | -2.18% | -1.22% | 1.75% | 9.54% | -0.03 | |||
| Long/Short Equity | 118.59 | 4.49% | -4.00% | -2.48% | 2.44% | 9.37% | 0.04 | |||
| Managed Futures | 149.96 | -5.78% | -4.43% | -3.09% | 5.89% | 10.36% | 0.37 | |||
| Multi-Strategy | 115.64 | 0.60% | 0.97% | 1.79% | 2.07% | 8.40% | 0.00 | |||
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*Average Annual Index data begins October 2004. Monthly Standard Deviation annualized. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month.
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** The Value for the Convertible Arbitrage (September 30, 2008), Fixed Income Arbitrage (January 31, 2009) and Event Driven (January 31, 2009) Sector Invest Indices of the AllHedge Index were reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of the aforementioned dates through September 30, 2009.
The Value for the Emerging Markets (November 30, 2008), Global Macro (October 31, 2008), Multi-Strategy (October 31, 2008) and Equity Market Neutral (March 31, 2009) Sector Invest Indices of the AllHedge Index were reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of the aforementioned dates through March 31, 2010. The SAV takes into account the estimated value of underlying funds which suspended redemptions or temporarily stopped reporting performance to the Index. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated. |
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Dow Jones Credit Suisse LEA Hedge Fund Index
| Index / Sub Strategies | Value** | Oct 11 | YTD | 1 Year | Annl* | Std Dev* | Sharpe* | |||
| LEA | 85.40 | 3.91% | -3.66% | -2.13% | 5.47% | 11.24% | 0.30 | |||
| Latin America | 100.11 | -0.67% | -0.82% | -1.36% | 5.52% | 7.01% | 0.49 | |||
| EEMEA | 64.94 | 7.50% | -0.31% | 5.59% | 5.72% | 23.03% | 0.16 | |||
| Asia | 84.45 | 5.16% | -9.16% | -7.82% | 5.40% | 11.22% | 0.30 | |||
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*Statistics include hypothetical performance of the Dow Jones Credit Suisse LEA Hedge Fund Index from January 1, 2005 to March 31, 2008 and actual performance from April 1, 2008. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month. Please refer to the disclaimer for important information regarding simulated performance.
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** The Value for the LEA Emerging Europe, Middle East and Africa Index of the LEA Index was reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of October 31, 2008 through March 31, 2010. The SAV takes into account the estimated value of the underlying funds that suspended redemptions or temporarily stopped reporting performance to the Index. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
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